There is a list here, almost comic in its length and baroquely complex absurdity, of all the families that our own royals are connected with – more than any of the English/British monarchs from the Normans to the Stuarts. It lists 50 family names, starting with the Anhalt-Zerbsts and proceeding alphabetically through to the Wettins, by way of, among others, the Jülich-Kleve-Bergs, the Mecklenberg-Strelitzes, the Pfalz-Zimmerns, and the Solms-Sonnenwalde und Pouches. "Lady Diana Spencer", writes Davies, "was the very first person of primarily English descent who ever came near the British throne in the whole of its 300-year history." Had there been no expedient fiddling about with the family names earlier in the century, the 1947 marriage between our Queen and her consort would have been not a Windsor/Mountbatten wedding but a Saxe-Coburg-Gotha/Schleswig-Holstein-Sonderburg-Glücksburg one.

What, you may wonder, is in a name? But consider the fate of one of Queen Victoria's grandchildren, Carl Eduard, Duke of Saxe-Coburg and Gotha, scrabbling in the rubbish heap of an American prison camp in Bavaria in 1947, adding grass to his soup in order to bulk it up a bit. Released later that year, he lived just long enough to go to the cinema and watch his nephew's daughter ascend, with great pomp, the British throne in 1953.

Europe is full of might-have-beens and were-once-somethings, but the echoes linger on. "Yan, tyan, tethera, methera," and so on, is how shepherds in Keswick count their sheep; the numbers are Welsh in origin, as the very word "Cumbria" hints. ("Welsh" means "alien" – cf "Walloon" – and "Cymru" means, roughly, "our lot".) What once seemed impregnable vanishes or crumbles. Kingdoms, principalities and Republics are never as secure as their leaders or their people would like to think that they are.

A list selected from the 15 chapters of this book will give you an idea: Tolosa, Alt Clud, Burgundia, Aragon, Litva, Byzantion, Borussia … these are names that linger on the fringes of memory and consciousness. Neal Ascherson, reviewing this book for the LRB, opened with a citation of Passport to Pimlico, in which an ancient document is discovered that declares that Pimlico is actually a province of Burgundy. And where, or what, was Burgundy? Well, there were at least 10 of them; take your pick from the Kingdom of AD 406-534, the Kingdom of Provence or of Burgundy ("less accurately called Cis-Jurane Burgundy", as an earlier, bogged-down historian put it), the Free County or Palatinate of Burgundy, or … you get the idea.

In the last 20 years alone, the following states have vanished as political entities: the DDR, the Soviet Union, Czechoslovakia and the Federation of Yugoslavia. Who next? asks Davies. Belgium? Italy? (Or, we could add: the United Kingdom?) At several points in history the name "Poland" could have been added to Davies's roll-call of vanished nations – but, as the first line of their national anthem puts it, "Jeszcze Polska nie zgineła", or "Poland isn't finished yet". (My translation.) And sometimes old ones pop up again: Montenegro, say, or Estonia, home of Kazaa and Skype, whose ranking in the Press Freedom Index is, as of 2009, higher than the UK's.

This is a monumental work, then, exhausting in its detail but never losing its sense either of the broader picture or the impact at the human level (where possible: archives and sources pertaining to Alt Clud, the post-Roman "Kingdom of the Rock" around what we now call Strathclyde, are notoriously patchy and vague). Davies visits the places he writes about, and quotes their songs, defiant or melancholy as needs be. If this makes you think of Gibbon's Decline and Fall of the Roman Empire, you'd be on the right lines: and Davies, in his introduction, says that early exposure to that work is what inspired him to become a historian in the first place. Sometimes, at over 830 pages including notes and index, this book is overwhelming. But it is worth it. You will learn something. I certainly did.